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Copula sensitivity in collateralized debt obligations and basket default swaps
16 references·2 citing·33 second hop
Copula sensitivity in collateralized debt obligations and basket default swaps (2003)Copula sensitivity in collateralized debt…Basket default swaps, CDOs and factor copulas (2005)Basket default swaps, CDOs an…Copula-Dependent Defaults in Intensity Models (2002)Copula-Dependent Defaults in …Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…Valuing Credit Default Swaps I (2000)Valuing Credit Default Swaps IOn Default Correlation (2000)On Default CorrelationOn Default Correlation: A Copula Function Approach (1999)On Default Correlation: A Cop…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Pricing the risks of default (1998)Pricing the risks of defaultA Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…The Valuation of Corporate Liabilities as Compound Options (1977)The Valuation of Corporate Li…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Technological Change, Financial Innovation, and Diffusion in Banking (2009)Technological Change, Financi…Measure of financial risk using conditional extreme value copulas with EVT margins (2009)Measure of financial risk usi…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)The American Put Option Valued Analytically (1984)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Theory of rational option pricing (2005)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)Copula Modeling: An Introduction for Practitioners (2007)An equilibrium characterization of the term structure (1977)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The theory and practice of corporate finance: evidence from the field (2001)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Credit Risk: Modeling, Valuation and Hedging (2004)Quantitative Risk Management (2011)Martingales and arbitrage in multiperiod securities markets (1979)Common Failings: How Corporate Defaults Are Correlated (2007)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Credit Contagion from Counterparty Risk (2009)Modelling Dependence with Copulas and Applications to Risk Management (2003)Goodness-of-fit tests for copulas: A review and a power study (2007)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2000On Default Correlation1,257 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 1977The Valuation of Corporate Liabilities as Compound Options830 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 1998Pricing the risks of default469 cited
  • 2000Valuing Credit Default Swaps I426 cited
  • 2002Copula-Dependent Defaults in Intensity Models302 cited
  • 1999On Default Correlation: A Copula Function Approach299 cited
  • 2005Basket default swaps, CDOs and factor copulas

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260 cited

Cited by

  • 2009Technological Change, Financial Innovation, and Diffusion in Banking46 cited
  • 2009Measure of financial risk using conditional extreme value copulas with EVT margins29 cited